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The transformation of banking : tying loan interest rates to borrowers' CDS spreads
Ivanov, Ivan T.; Santos, João A. C.; Vo, Thu - 2013
We investigate how the introduction of market-based pricing, the practice of tying loan interest rates to credit default swaps, has affected bank financing. We find that market-based pricing is associated with lower interest rates, both at origination and during the life of the loan. Our results...
Persistent link: https://www.econbiz.de/10010250693
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The transformation of banking : tying loan interest rates to borrowers' CDS spreads
Ivanov, Ivan T.; Santos, João A. C.; Vo, Thu - In: The journal of corporate finance : contracting, … 38 (2016), pp. 150-165
Persistent link: https://www.econbiz.de/10011508861
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Asset pricing factors and bank CDS spreads
Koutmos, Dimitrios - In: Journal of international financial markets, … 58 (2019), pp. 19-41
Persistent link: https://www.econbiz.de/10012127819
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Forecasting credit default swap premiums with Google search volume
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016
Persistent link: https://www.econbiz.de/10011733592
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The impact of CDS trading on the bond market : evidence from Asia
Shim, Ilhyock; Zhu, Haibin - In: Journal of banking & finance 40 (2014), pp. 460-475
Persistent link: https://www.econbiz.de/10010404699
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Sovereign bond spreads and credit default swap premia : cointegration and causality
Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59
Persistent link: https://www.econbiz.de/10010392834
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Illiquid Market and Credit Derivatives. Evidence from the Greek Market by Testing the Credit Derivatives Swap, CDS Spread Points
Guirguis, Michel - 2019
Credit derivative swap of the Greek market is a financial instrument the value of which is derived from an underlying … arbitrage. The premium that is incorporated in the default swap, DS, is known as the credit derivative swap spread. The credit … credit default swap is linked to an interest rate swap or an option. The integration of an interest rate swap with an option …
Persistent link: https://www.econbiz.de/10012890759
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Spread Risk Premia in Corporate Credit Default Swap Markets
Entrop, Oliver - 2016
The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection …
Persistent link: https://www.econbiz.de/10013008411
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Inside the Currency Board Arrangement Risky Spreads and Credit Default Swap - Sovereign Bonds Basis
Yordanov, Vilimir - 2015
The paper investigates the risky sovereign spreads and the CDS-Bond basis of a country following a fixed exchange rate under a Currency Board Arrangement (CBA). The particular monetary regime affects significantly the mechanics of the bond market and needs a special investigation. We start by...
Persistent link: https://www.econbiz.de/10013036782